Usually they are carried with a truck. The big ones are often taken apart first, since they can not fit in one truck. Once they get to the construction site, they are put together there. Some of the big machines need eight to ten trucks to be transported. Air planes are used sometimes also. The methods varies depending on the type of machine. For example, if it is a hydraulic excavator with tires, it may be just driven to the site by a driver.

Wheeled hydraulic excavator [THE GREAT PICTURE BOOK OF CONSTRUCTION EQUIPMENT]